Here is how I fixed it:
My first attempt was to take one of the DSETUP.dll in the installation folder of one of my Steam games and place it both in C:\Windows\System32 and C:\Windows\SysWOW64. But while it removed the DLL error, another error remained:
There is a problem with this Windows Installer package. A program run as part of the setup did not finish as expected. Contact your support personnel or package vendor.
I followed this answer and entered:
msiexec /i "C:\UnrealEngineInstaller.msi" SKIP_DIRECTX="1"